請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24693
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 楊朝成(Chau-Chen Yang) | |
dc.contributor.author | Jen-Chang Liu | en |
dc.contributor.author | 劉任昌 | zh_TW |
dc.date.accessioned | 2021-06-08T05:37:01Z | - |
dc.date.copyright | 2005-01-27 | |
dc.date.issued | 2005 | |
dc.date.submitted | 2005-01-20 | |
dc.identifier.citation | Acharya, Viral V., Sanjiv R. Das and Rangarajan K. Sundaram. Pricing credit derivatives with rating transitions. Financial Analysts Journal, 58(3):28--44, May/June 2002.
Altman, Edward I. Corporate Financial Distress. Wiley, New York, 1990. Balduzzi, Pierluigi, Sanjiv R. Das, Silverio Foresi and Rangarajan Sundaram. A simple approach to three-factor affine term structure models. The Journal of Fixed Income, 6(3):43--53, Dec 1996. Bielecki, Tomasz and Marek Rutkowski. Multiple ratings model of defaultable term structure. Mathematical Finance, 10(2):125--139, April 2000. Bielecki, Tomasz R. and Marek Rutkowski. Credit Risk: Modeling, Valuation and Hedging. Springer-Verlag, Berlin, 2002. Black, Fischer and John C. Cox. Valuing corporate securities: Some effects of bond indenture provisions. Journal of Finance, 31(2):351--367, May 1976. Brennan, Michael J. and Eduardo D. Schwartz. The pricing of equity-linked life insurance policies with an asset value guarantee. Journal of Financial Economics, 3(3):195--213, 1976. Briys Eric and Francois de Varenne. Life insurance in a contingent claim framework: Pricing and regulatory implications. Geneva Papers on Risk and Insurance Theory, 19(1):53--72, June 1994. Briys Eric and Francois de Varenne. On the risk of insurance liabilities: Debunking some common pitfalls. Journal of Risk and Insurance, 64(4):673--694, Dec 1997. Cao, Melanie and Jason Wei. Vulnerable options, risky corporate bond, and credit spread. Journal of Futures Markets, 21(4):301--327, April 2001. Cathcart, Lara and Lina El-Jahel. Valuation of defaultable bonds. Journal of Fixed Income, 8(1):65--78, June 1998. Cox, John C., Jonathan E. Ingersoll and Stephen A. Ross. A theory of the term structure of interest rates. Econometrica, 53(2):385--407, March 1985. Duffee, Gregory R. The relation between Treasury yields and corporate bond yield spreads. Journal of Finance, 53(6):2225--2242, Dec 1998. Duffie, Darrell and Kenneth J. Singleton. Modeling term structures of defaultable bonds. Review of Financial Studies, 12(4):687--720, Oct 1999. Duffie, Darrell and Rui Kan. A yield-factor model of interest rates. Mathematical Finance, 6(4):379--406, Oct 1996. Geman, H., N. El Karoui and J.C. Rochet. Changes of numeraire, changes of probability measures and pricing of options. Journal of Applied Probability, 32(2):443--458, June 1995. Grosen, Anders and Peter L. Jorgensen. Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. Insurance: Mathematics and Economics, 26(1):37--57, Feb 2000. Grosen, Anders and Peter L. Jorgensen. Life insurance liabilities at market value: An analysis of insolvency risk, bonus policy, and regulatory intervention rules in a barrier option framework. Journal of Risk and Insurance, 69(1):63--91, March 2002. Harrison, J. Michael and David M. Kreps. Martingale and arbitrage in multiperiod securities markets. Journal of Economic Theory, 2(3):381--408, 1979. Hull, John and Alan White. The impact of default risk on the valuation of options and other derivative securities. Journal of Banking and Finance, 19(2):299--322, May 1995. Hull, John C. Options, Futures, and Other Derivatives, 4th Ed. Prentice-Hall, New Jersey, 2000. Jamshidian, Farshid. An exact bond option formula. Journal of Finance, 44(1):205--209, March 1989. Jarrow, Robert A. and Stuart Turnbull. Pricing derivatives on financial securities subject to credit risk. Journal of Finance, 50(1):53--86, March 1995. Jarrow, Robert A., David Lando and Stuart Turnbull. A Markov model for the term structure of credit spreads. Review of Financial Studies, 10(2):481--523, April 1997. Johnson, Herb and Rene Stulz. The pricing of options with default risk. Journal of Finance, 42(2):267--280, June 1987. Jones, E. Philip, Scott P. Mason and Eric Rosenfeld. Contingent claim analysis of corporate capital structures: An empirical investigation. Journal of Finance, 39(3):611--625, July 1984. Kim, In Joon, Krishna Ramaswamy and Suresh M. Sundaresan. Does default risk in coupons affect the valuation of corporate bonds? A contingent claims model. Financial Management, 22(3):117--131, Fall 1993. Klein, Peter. Pricing Black-Scholes options with correlated credit risk. Journal of Banking and Finance, 20(7):1211--1129, Aug 1996. Klein, Peter and Michael Inglis. Pricing vulnerable options when the option's payoff can increase the risk of financial distress. Journal of Banking and Finance, 25(5):993--1012, May 2001. Leland, Hayne E. and Klaus B. Toft. Optimal capital structure, endogenous bankruptcy and the term structure of credit spreads. Journal of Finance, 51(3):987--1019, July 1996. Longstaff, Francis A. and Eduardo D. Schwartz. A simple approach to valuing risky fixed and floating rate debt. Journal of Finance, 50(3):789--819, July 1995. Lyuu, Yuh-Dauh. Financial Engineering and Computation: Principles, Mathematics and Algorithms. Cambridge University Press, Cambridge, 2002. Merton, Robert C. On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance, 29(2):449--469, May 1974. Merton, Robert C. On the application of the continuous-time theory of finance to financial intermediation and insurance. Geneva Papers on Risk and Insurance, 14:225--262, 1989. Musiela, Marek and Marek Rutkowski. Martingale Methods in Financial Modeling. Springer-Verlag, Berlin, 1997. Pye, Gordon. Gauging the default premium. Financial Analysts Journal, 30(1):49--52, Jan/Feb 1974. Schmid, Bernd and Rudi Zagst. A three-factor defaultable term structure model. Journal of Fixed Income, 10(2):63--79, Sept 2000. Simmons, George F. Differential Equations with Applications and Historical Notes. McGraw-Hill, New York, 1991. Vasicek, Oldrich A. An equilibrium characterisation of the term structure. Journal of Financial Economics, 5(2):177--188, Nov 1977. Wilson, Thomas C. Portfolio credit risk. Risk, 10(9):111--117, Sept 1997. Zhou, Chun-Sheng. The term structure of credit spreads with jump risk. Journal of Banking and Finance, 25(11):2015--2040, Nov 2001. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24693 | - |
dc.description.abstract | 在Jamshidian(1989)對利率選擇權評價研究中,作者闡述了遠期平賭測度的用處。本研究也將利用這個技巧,說明風險性債券的評價過程,並且將這個過程示範於兩個發表於Journal of Fixed Income期刊的模型。首先,本文證明Cathcart and El-Jahel(1998)的評價模型存在封閉公式解,這個結果取代了原來作者所使用的複雜數值方法。其次,本文說明Schmid and Zagst's (2000)模型中個四個微分方程式求解過程,可以使用三個微分方程式即可。上述的結果都是利用遠期平賭測度轉換技巧達成的。 | zh_TW |
dc.description.abstract | The usefulness of the forward martingale measure has been demonstrated by Jamshidian (1989) in deriving a pricing formula for default-free bond options. By making use of this technique, this paper offers a greatly simplified approach to the valuation of defaultable bonds by revisiting two pioneering hybrid models published in the Journal of Fixed Income. First, Cathcart and El-Jahel's (1998) original numerical inversion of Laplace
transformations for pricing defaultable bonds is replaced with a closed-form formula derived through the use of the forward martingale measure. Second, Schmid and Zagst's (2000) original four ordinary differential equations for pricing defaultable bonds are replaced by three ordinary differential equations via the use of the forward martingale measure again. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T05:37:01Z (GMT). No. of bitstreams: 1 ntu-94-D87723002-1.pdf: 1231823 bytes, checksum: f86eabdd999d341999c6020287423bd0 (MD5) Previous issue date: 2005 | en |
dc.description.tableofcontents | 1 Evaluating Defaultable Bonds under the Forward Martingale Measure 1
1.1 Introduction 2 1.2 The Framework 3 1.2.1 Pricing Default-free Bonds under the Spot Measure 4 1.2.2 Expressing Credit Spreads under the Forward Measure 5 1.2.3 Affine Structure 6 1.3 An Application to Cathcart and El-Jahel (1998) 7 1.4 An Application to Schmid and Zagst (2000) 11 1.5 Conclusions 14 2 Pricing Vulnerable Options and Risky Debts under Different Seniority Status 26 2.1 Introduction 27 2.2 Assumptions and Review of Default Risk Models 28 2.2.1 Debts as the Only Liability 29 2.2.2 Call Options as the Only Liability 30 2.2.3 Two Types of Liabilities 31 2.3 Model Description 32 2.3.1 When Debts Are Senior to Options 32 2.3.2 When Options Are Senior to Debts 33 2.3.3 When Both Are Equally Ranking 33 2.3.4 A Unified Framework 34 2.4 Monte Carlo Simulations 36 2.4.1 Simulations Based on Klein and Inglis (2001) 37 2.4.2 Simulations Based on Klein (1996) 38 2.5 Interpretation of the Results 38 2.5.1 The Correlation Rho Always Imposes a Positive Effect on Option Values 39 2.5.2 The Correlation Rho Can Have both Positive and Negative Effects on Debt Values 40 2.5.3 The Mixed Effects from both Rho and the Priority Status 42 2.5.4 Results Based on Klein (1996) 42 2.6 Conclusions 43 3 Life Insurance Liability Valuation with Stochastic Interest Rates 51 3.1 Introduction 52 3.2 The Model 54 3.2.1 Models without Continuing Monitoring 57 3.2.2 Models with Continuing Monitoring 57 3.2.3 Equilibrium Condition 60 3.3 Numerical Examples 61 3.4 Conclusions 63 | |
dc.language.iso | en | |
dc.title | 信用風險論文集 | zh_TW |
dc.title | Essays on Credit Risk | en |
dc.type | Thesis | |
dc.date.schoolyear | 93-1 | |
dc.description.degree | 博士 | |
dc.contributor.oralexamcommittee | 廖咸興,陳聖賢,周麗娟,陸行(Paul Luh),陳勝源 | |
dc.subject.keyword | 破產風險,脆弱選擇權,結構模型,債權順位,遠期平賭測度, | zh_TW |
dc.subject.keyword | seniority status,default risk,forward martingale measure,structural model,vulnerable options, | en |
dc.relation.page | 76 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2005-01-22 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-94-1.pdf 目前未授權公開取用 | 1.2 MB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。